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The Influence of the Number of Different Stocks on the Levy–Levy–Solomon Model

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  • R. Kohl

    (Institute for Theoretical Physics, Cologne University, 50923 Köln, Germany)

Abstract

The stock market model of Levy, Levy, Solomon is simulated for more than one stock to analyze the behavior for a large number of investors. Small markets can lead to realistic looking prices for one and more stocks. A large number of investors leads to a semi-regular fashion simulating one stock. For many stocks, three of the stocks are semi-regular and dominant, the rest is chaotic. Aside from that we changed the utility function and checked the results.

Suggested Citation

  • R. Kohl, 1997. "The Influence of the Number of Different Stocks on the Levy–Levy–Solomon Model," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 1309-1316.
    • Handle: RePEc:wsi:ijmpcx:v:08:y:1997:i:06:n:s0129183197001168
    DOI: 10.1142/S0129183197001168
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    Citations

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    Cited by:

    1. Maximilian Beikirch & Torsten Trimborn, 2020. "Novel Insights in the Levy-Levy-Solomon Agent-Based Economic Market Model," Papers 2002.10222, arXiv.org.
    2. Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
    3. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2019. "Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models," Papers 1904.04951, arXiv.org, revised Mar 2021.
    4. Trimborn, Torsten & Frank, Martin & Martin, Stephan, 2018. "Mean field limit of a behavioral financial market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 613-631.
    5. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.

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